Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
Author:
Funder
US Air Force
Publisher
Elsevier BV
Subject
Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation
Reference30 articles.
1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973
2. Option replication in discrete time with transaction costs;Boyle;J. Finance,1992
3. European option pricing with transaction costs;Davis;SIAM J. Control Optim.,1993
4. Optimal replication of options with transaction costs and trading restrictions;Edirisinghe;J. Finan. Quant. Anal.,1993
5. Options arbitrage in imperfect markets;Figlewski;J. Finance,1989
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